Time Series Analysis Of All Shares Index Of Nigeria Stock Market:- Ukandu Chidinma -C.

ABSTRACT

The study attempts to model All Share Index of Nigerian Stock Exchange using time series model. The time series model is the Autoregressive Integrated Moving Average (ARIMA) class of model. The data collected for this analysis is made up of the monthly naira values of the All Share Index of Nigerian Stock Exchange from January 2000 to December 2012. A statistical software package MINITAB was used for precision and accuracy of the analysis. The time series analysis result shows the trend, ACFs, PACFs and the ARIMA diagnostics of All Share Indexes of Nigerian Stock Exchange. The model generated from the Nigeria Stock Exchange shows that an ARIMA (0, 2, 2) is adequately to define the optimal order of all share index in Nigeria.